R/S-Analysis of Cash-Flow: Cases of Business Eco Community and Separate Enterprise

摘要

The article is devoted to the fractal analysis of time series of payments. The method of normalized range (R/S-analysis) was used, which makes it possible to compare series of different duration. The series of payments carried out by agents in the local payment system (LPS) for two months, as well as by one agent outside the LPS during one calendar year were investigated. In the first case, the data was aggregated weekly, in the second case, monthly. The values of the Hurst index obtained for the two series studied turned out to be significantly different: for LPS it turned out to be close to 0.5 (the current value has little effect on the future), and for an individual agent it is 0.73 (a trend-resistant series with a tendency to increase in value with time). Differences in the values are explained by the fact that the two studied months accounted for the full life cycle of the LPS, and the annual period for the agent outside the LPS is only a small part of its life cycle.